No documents No service

I was sold an insurance package over the phone last year. The direct debits were taken with alacrity. But no insurance policy documents have ever been sent and so should anything ever happen that means I need to claim, no one will know of its existence. Phoning so called customer care gets you no where. I have done so 3 times now from my local branch. I have stopped the direct debits. They owe me money now, but I was told I would not get that back. What kind of a bank behaves like this?